portfolio diversification and the Capital Asset Pricing Model

portfolio diversification and the Capital Asset Pricing Model

Risk and return, portfolio diversification and the Capital Asset Pricing Model; The cost of equity

Required/Case Assignment/SLP Reading
Dividend Growth Models
Investopedia.com (2012). The Gordon growth model. Retrieved May 2012 from http://www.investopedia.com/terms/g/gordongrowthmodel.asp
The following reading, though not recent, is still useful:
Pages.stern.nyu.edu (n.d.). Dividend discount models. Retrieved May 2012 from http://pages.stern.nyu.edu/~adamodar/pdfiles/valn2ed/ch13.pdf
The following reading, though not recent, is still useful to understand the dividend growth model:
Clark, T. (2000). Earnings growth and stock returns. Retrieved May 2012 from http://www.dfaus.com/library/articles/earning_growth_stock/
Capital Asset Pricing Model
Investopedia.com (2012). Financial concepts: capital asset pricing model (CAPM). Retrieved May 2012 from http://www.investopedia.com/university/concepts/concepts8.asp
This Article on Investment Analysis is a highly comprehensive overview on measuring risk and the use of the CAPM. This article is a good place to start because it will give you an idea of how the CAPM is used in the “real world” as well as demonstrate the basic concepts of this module.
Valuebasedmanagement.net (2012). Capital asset pricing model (CAPM). Retrieved May 2012 from http://www.valuebasedmanagement.net/methods_capm.html
The following Wikipedia article may also be useful to understand CAPM model:
En.wikipedia.org (2012). Capital asset pricing model (CAPM). Retrieved May 2012 from http://en.wikipedia.org/wiki/Capital_asset_pricing_model
To answer Question 1 related to the type of factors that influence company beta, read the following article:
l-Qaisi, K.M. (2011). The economic determinants of systematic risk in the Jordanian capital market. International Journal of Business and Social Science, 2(20), 85-95. Retrieved May 2012 from http://www.ijbssnet.com/journals/Vol_2_No_20_November_2011/9.pdf
Arbitrage Pricing Theory
Money Terms (2011). Arbitrage pricing theory. Retrieved May 2012 from http://moneyterms.co.uk/apt/
The following sources, though not recent, are useful to answer the Case Assignment questions:
Goetzmann, W. (1996). Chapter six: the arbitrage pricing theory. An introduction to investment theory. Yale School of Management [Online]. Retrieved May 2012 from http://viking.som.yale.edu/will/finman540/classnotes/class6.html
Boehme, R. (n.d.). Chapter 11: arbitrage pricing theory (APT). Retrieved May 2012 from http://www.rdboehme.com/MBA_CF/Chap_11.pdf
Otuteye, E. (1998). The arbitrage pricing dichotomy. Canadian Investment Review, 11(4), 60-64.
Optional reading
The following sources, though not recent, are still useful:
Referenceforbusiness.com (n.d.). Portfolio management theory. Retrieved May 2012 from http://www.referenceforbusiness.com/encyclopedia/Per-Pro/Portfolio-Management-Theory.html
Campbell, H. (1995). The CAPM – WWWFinance. Retrieved May 2012 from http://www.duke.edu/~charvey/Classes/ba350/riskman/riskman.htm
Please review these files to learn about risk, return, and the Efficient Market Hypothesis.
Biger, N., (n.d.), Finance; A conceptual approach, Butterworth, Chapter 5: risk and return – Part I at: Chapter 5 [https://cdad.trident.edu/Presentation.aspx?course=56&term=92&presentation=139] and Chapter 6: Risk and Return – Part II – and the capital asset pricing model, at: Chapter 6 https://cdad.trident.edu/Presentation.aspx?course=56&term=92&presentation=140
Lo, A. W. (2007). Efficient market hypothesis in The New Palgrave: A Dictionary of Economics, L. Blume, S. Durlauf, Eds., 2nd Edition, Palgrave McMillan Ltd. Retrieved May 2012 from https://cdad.trident.edu/Presentation.aspx?course=56&term=92&presentation=147
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